In this paper, we propose to exploit the benefits of full-duplex (FD) massive MIMO relaying technique to significantly improve the secrecy performance of transmissions, so as to solve the challenging issue caused by short-distance interception under very practical assumptions, i.e., no eavesdropper channel state information (CSI). First, we give a secrecy performance analysis, and derive an explicit expression for the ergodic secrecy rate in terms of transmit powers, antenna numbers, and interception distance. Then, we propose an optimal power allocation scheme at the relay for maximizing the ergodic secrecy rate. Moreover, we present some clear insights for secrecy performance optimization through asymptotic analysis. Finally, simulation results validate our theoretical derivations.